Canada Stocks Portfolio vs Ben Felix Five Factor Model 80/20 Portfolio Portfolio Comparison

Simulation Settings

Period: January 1988 - May 2026 (~38 years)
Consolidated Returns as of 31 May 2026

Initial Amount: 1$

Rebalancing: at every Jan 1^st

Currency: CAD

Inflation: Canada

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Results

30 Years
(1996/06 - 2026/05)

All Data
(1988/01 - 2026/05)

Inflation Adjusted:

Canada Stocks Portfolio

1.00$
Invested Capital
June 1996
12.00$
Final Capital
May 2026
8.63%
Yearly Return
14.82%
Std Deviation
-45.40%
Max Drawdown
61months
Recovery Period

1.00$
Invested Capital
June 1996
6.35$
Final Capital
May 2026
6.36%
Yearly Return
14.82%
Std Deviation
-48.22%
Max Drawdown
65months
Recovery Period

1.00$
Invested Capital
January 1988
19.97$
Final Capital
May 2026
8.11%
Yearly Return
14.11%
Std Deviation
-45.40%
Max Drawdown
61months
Recovery Period

1.00$
Invested Capital
January 1988
8.27$
Final Capital
May 2026
5.65%
Yearly Return
14.11%
Std Deviation
-48.22%
Max Drawdown
65months
Recovery Period

Ben Felix Five Factor Model 80/20 Portfolio

1.00$
Invested Capital
June 1996
11.08$
Final Capital
May 2026
8.35%
Yearly Return
10.43%
Std Deviation
-33.91%
Max Drawdown
45months
Recovery Period

1.00$
Invested Capital
June 1996
5.87$
Final Capital
May 2026
6.08%
Yearly Return
10.43%
Std Deviation
-35.70%
Max Drawdown
73months
Recovery Period

1.00$
Invested Capital
January 1988
29.73$
Final Capital
May 2026
9.23%
Yearly Return
10.25%
Std Deviation
-33.91%
Max Drawdown
45months
Recovery Period

1.00$
Invested Capital
January 1988
12.32$
Final Capital
May 2026
6.75%
Yearly Return
10.25%
Std Deviation
-35.70%
Max Drawdown
73months
Recovery Period

This portfolio includes ETFs not denominated in CAD. Returns are calculated using exchange rates or, if applicable, interest rate differentials for currency hedging.

As of May 2026, in the previous 30 Years, the Canada Stocks Portfolio obtained a 8.63% compound annual return, with a 14.82% standard deviation. It suffered a maximum drawdown of -45.40% that required 61 months to be recovered.

As of May 2026, in the previous 30 Years, the Ben Felix Five Factor Model 80/20 Portfolio obtained a 8.35% compound annual return, with a 10.43% standard deviation. It suffered a maximum drawdown of -33.91% that required 45 months to be recovered.

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Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.

Resources & Extras

Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Canada Stocks Portfolio

Weight (%)	Ticker	Name
100.00	VCN.TO	Vanguard FTSE Canada All Cap Index

Ben Felix Five Factor Model 80/20 Portfolio

Weight (%)	Ticker	Name
24.00	VUN.TO	Vanguard US Total Market Index
24.00	XIC.TO	iShares Core S&P/TSX Capped Composite Index
12.80	XEF.TO	iShares Core MSCI EAFE IMI Index
8.00	AVUV	Avantis US Small Cap Value ETF
6.40	XEC.TO	iShares Core MSCI Emerging Markets IMI Index
4.80	AVDV	Avantis International Small Cap Value ETF
20.00	ZAG.TO	BMO Aggregate Bond Index
• Not denominated in CAD.

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Portfolio Returns as of May 31, 2026

Returns are calculated in CAD, assuming:

no fees or capital gain taxes.
rebalancing: at every Jan 1^st.
dividend reinvestment, when applicable.

Return Comparison

Capital Growth

30 Years
(1996/06 - 2026/05)

All Data
(1988/01 - 2026/05)

Inflation Adjusted:

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Canada Stocks	1 $	12.00 $	1 099.59%	8.63%
Five Factor Model 80/20 Ben Felix	1 $	11.08 $	1 007.70%	8.35%
	Jun 1996	May 2026

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Canada Stocks	1 $	6.35 $	535.50%	6.36%
Five Factor Model 80/20 Ben Felix	1 $	5.87 $	486.82%	6.08%
	Jun 1996	May 2026

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Canada Stocks	1 $	19.97 $	1 896.63%	8.11%
Five Factor Model 80/20 Ben Felix	1 $	29.73 $	2 873.03%	9.23%
	Jan 1988	May 2026

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Canada Stocks	1 $	8.27 $	727.18%	5.65%
Five Factor Model 80/20 Ben Felix	1 $	12.32 $	1 131.68%	6.75%
	Jan 1988	May 2026

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		Return (%) as of May 31, 2026
		YTD (5M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~38Y)
	Canada Stocks -- Market Benchmark	10.03	2.21	10.77	33.74	15.12	12.53	8.63	8.11
	Five Factor Model 80/20 Ben Felix	11.07	3.89	10.70	27.93	11.67	10.77	8.35	9.23
Returns over 1 year are annualized.

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Portfolio Metrics as of May 31, 2026

The following metrics, updated as of 31 May 2026, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON

Period: 1 June 2025 - 31 May 2026 (1 year)

Period: 1 June 2021 - 31 May 2026 (5 years)

Period: 1 June 2016 - 31 May 2026 (10 years)

Period: 1 June 1996 - 31 May 2026 (30 years)

Period: 1 January 1988 - 31 May 2026 (~38 years)

1 Year

5 Years

10 Years

30 Years

All (1988/01 - 2026/05)

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	Canada Stocks	Five Factor Model 80/20
Author		Ben Felix
ASSET ALLOCATION
Stocks	100%	80%
Fixed Income	0%	20%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	33.74	27.93
Infl. Adjusted (%)	30.79	25.12
DRAWDOWN
Deepest Drawdown Depth (%)	-4.18	-3.91
Start to Recovery (months)	3	2
Longest Drawdown Depth (%)	-4.18	-0.34
Start to Recovery (months)	3	2
Longest Negative Period (months)	2	2
RISK INDICATORS
Standard Deviation (%)	9.79	7.88
Sharpe Ratio	3.05	3.05
Sortino Ratio	4.04	3.66
Ulcer Index	1.17	1.09
Ratio: Return / Standard Deviation	3.45	3.55
Ratio: Return / Deepest Drawdown	8.08	7.15
Metrics calculated over the period 1 June 2025 - 31 May 2026

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	Canada Stocks	Five Factor Model 80/20
Author		Ben Felix
ASSET ALLOCATION
Stocks	100%	80%
Fixed Income	0%	20%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	15.12	11.67
Infl. Adjusted (%)	11.16	7.83
DRAWDOWN
Deepest Drawdown Depth (%)	-14.55	-14.87
Start to Recovery (months)	21	23
Longest Drawdown Depth (%)	-14.55	-14.87
Start to Recovery (months)	21	23
Longest Negative Period (months)	26	28
RISK INDICATORS
Standard Deviation (%)	12.78	10.53
Sharpe Ratio	0.92	0.79
Sortino Ratio	1.24	1.06
Ulcer Index	4.12	4.55
Ratio: Return / Standard Deviation	1.18	1.11
Ratio: Return / Deepest Drawdown	1.04	0.79
Metrics calculated over the period 1 June 2021 - 31 May 2026

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	Canada Stocks	Five Factor Model 80/20
Author		Ben Felix
ASSET ALLOCATION
Stocks	100%	80%
Fixed Income	0%	20%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	12.53	10.77
Infl. Adjusted (%)	9.58	7.87
DRAWDOWN
Deepest Drawdown Depth (%)	-23.04	-16.76
Start to Recovery (months)	10	7
Longest Drawdown Depth (%)	-14.55	-14.87
Start to Recovery (months)	21	23
Longest Negative Period (months)	43	35
RISK INDICATORS
Standard Deviation (%)	13.54	10.71
Sharpe Ratio	0.76	0.80
Sortino Ratio	1.01	1.07
Ulcer Index	4.60	4.03
Ratio: Return / Standard Deviation	0.93	1.01
Ratio: Return / Deepest Drawdown	0.54	0.64
Metrics calculated over the period 1 June 2016 - 31 May 2026

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	Canada Stocks	Five Factor Model 80/20
Author		Ben Felix
ASSET ALLOCATION
Stocks	100%	80%
Fixed Income	0%	20%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	8.63	8.35
Infl. Adjusted (%)	6.36	6.08
DRAWDOWN
Deepest Drawdown Depth (%)	-45.40	-33.91
Start to Recovery (months)	61	45
Longest Drawdown Depth (%)	-45.40	-27.26
Start to Recovery (months)	61	52
Longest Negative Period (months)	107	108
RISK INDICATORS
Standard Deviation (%)	14.82	10.43
Sharpe Ratio	0.43	0.59
Sortino Ratio	0.56	0.77
Ulcer Index	14.91	8.26
Ratio: Return / Standard Deviation	0.58	0.80
Ratio: Return / Deepest Drawdown	0.19	0.25
Metrics calculated over the period 1 June 1996 - 31 May 2026

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	Canada Stocks	Five Factor Model 80/20
Author		Ben Felix
ASSET ALLOCATION
Stocks	100%	80%
Fixed Income	0%	20%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	8.11	9.23
Infl. Adjusted (%)	5.65	6.75
DRAWDOWN
Deepest Drawdown Depth (%)	-45.40	-33.91
Start to Recovery (months)	61	45
Longest Drawdown Depth (%)	-45.40	-27.26
Start to Recovery (months)	61	52
Longest Negative Period (months)	107	108
RISK INDICATORS
Standard Deviation (%)	14.11	10.25
Sharpe Ratio	0.37	0.62
Sortino Ratio	0.48	0.81
Ulcer Index	13.93	7.52
Ratio: Return / Standard Deviation	0.57	0.90
Ratio: Return / Deepest Drawdown	0.18	0.27
Metrics calculated over the period 1 January 1988 - 31 May 2026

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Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DRAWDOWN COMPARISON

Period: 1 June 1996 - 31 May 2026 (30 years)

Period: 1 January 1988 - 31 May 2026 (~38 years)

30 Years
(1996/06 - 2026/05)

Chart Table

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Canada Stocks			Five Factor Model 80/20
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
-45.40	61	Sep 2000 Sep 2005
-43.58	33	Jun 2008 Feb 2011
			-33.91	45	Jun 2007 Feb 2011
-27.84	20	May 1998 Dec 1999
			-27.26	52	Sep 2000 Dec 2004
-23.04	10	Feb 2020 Nov 2020
-17.62	32	Mar 2011 Oct 2013
			-16.76	7	Feb 2020 Aug 2020
-15.71	27	Sep 2014 Nov 2016
			-14.87	23	Jan 2022 Nov 2023
-14.55	21	Apr 2022 Dec 2023
			-14.17	9	May 1998 Jan 1999
-12.62	9	Aug 2018 Apr 2019
			-10.80	10	Jun 2011 Mar 2012
			-9.83	8	Sep 2018 Apr 2019

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Canada Stocks			Five Factor Model 80/20
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
-45.40	61	Sep 2000 Sep 2005
-43.58	33	Jun 2008 Feb 2011
			-33.91	45	Jun 2007 Feb 2011
-27.84	20	May 1998 Dec 1999
			-27.26	52	Sep 2000 Dec 2004
-23.16	48	Sep 1989 Aug 1993
-23.04	10	Feb 2020 Nov 2020
-17.62	32	Mar 2011 Oct 2013
			-16.76	7	Feb 2020 Aug 2020
			-16.36	17	Jan 1990 May 1991
-15.71	27	Sep 2014 Nov 2016
			-14.87	23	Jan 2022 Nov 2023
-14.55	21	Apr 2022 Dec 2023
			-14.17	9	May 1998 Jan 1999
-12.62	9	Aug 2018 Apr 2019

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the Simulation Settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison

Annualized Rolling Returns Chart

Rolling Returns Chart - Inflation Adjusted

Time Period: 1 January 1988 - 31 May 2026 (~38 years)

Rolling Period:

Canada Stocks
Five Factor Model 80/20

Head To Head (Ptf 1 vs Ptf 2):

Canada Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown. The highlighted returns represent the highest values for that specific year.

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	Canada Stocks		Five Factor Model 80/20
Year	Return (%)	Drawdown (%)	Return (%)	Drawdown (%)
2026	10.03	-4.18	11.07	-3.91
2025	30.21	-2.12	17.85	-5.07
2024	22.16	-3.29	19.00	-2.01
2023	13.16	-7.37	14.82	-5.43
2022	-5.96	-14.55	-9.38	-14.87
2021	25.78	-2.86	16.12	-2.64
2020	4.88	-23.04	9.72	-16.76
2019	22.09	-3.34	17.88	-4.04
2018	-9.19	-12.62	-4.33	-9.83
2017	8.41	-3.01	10.78	-3.32
2016	20.63	-1.11	9.95	-3.84
2015	-9.03	-15.26	6.83	-7.23
2014	9.83	-6.40	12.44	-2.09
2013	12.09	-5.13	23.13	-2.14
2012	7.04	-8.57	10.51	-5.01
2011	-8.79	-17.62	-3.02	-10.80
2010	17.52	-7.08	11.27	-7.01
2009	35.38	-7.77	19.11	-10.75
2008	-33.71	-38.83	-21.24	-24.44
2007	9.54	-5.96	-2.17	-5.98
2006	16.87	-4.73	16.93	-4.97
2005	26.33	-4.99	12.22	-2.66
2004	13.00	-6.98	10.22	-3.61
2003	25.06	-3.49	17.79	-6.50
2002	-13.44	-22.44	-9.50	-17.38
2001	-13.31	-25.56	-3.38	-14.86
2000	6.18	-21.59	-0.64	-11.03
1999	29.72	-6.20	19.26	-3.77
1998	-3.19	-27.84	11.12	-14.17
1997	13.03	-7.49	14.79	-3.26
1996	25.75	-6.05	16.63	-4.17
1995	11.86	-4.65	15.85	-1.55
1994	-2.49	-11.63	0.82	-6.72
1993	28.98	-3.55	30.25	-1.90
1992	-4.61	-8.71	8.39	-2.81
1991	8.12	-4.24	24.59	-3.99
1990	-17.96	-22.38	-10.65	-16.36
1989	17.10	-2.28	21.15	-2.66
1988	7.28	-4.59	10.90	-2.76

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Table of contents

Resources & Extras

Asset Allocations and ETFs

Portfolio Returns as of May 31, 2026

Portfolio Metrics as of May 31, 2026

Drawdowns

Rolling Returns

Yearly Returns